A. M. G. Cox and D. G. Hobson Department of Mathematical Sciences, University ...  Home/Search
Context
Related
| people.bath.ac.uk/masdgh/P...embmin.ps Cached: PS.gz PS PDF This document uses CoBlitz to cache paper downloads. If your firewall is blocking outgoing connections to port 3125, you can use these links to download local copies.
Image Update HelpPS.gz PS PDF From: people.bath.ac.uk/masdgh/Paper... (more) (Enter author homepages) |
Rate this article:      (best)Comment on this article |
Abstract: In this paper we consider the Skorokhod embedding problem for target distributions with non-zero mean. In the zero-mean case, uniform integrability provides a natural restriction on the class of embeddings, but this is no longer suitable when the target distribution is not centred. Instead we restrict our class of stopping times to those which are minimal, and we nd an condition involving stopping times which is equivalent to minimality. (Update)
Similar documents based on text:
0.0: Unknown - (Correct)
BibTeX entry: (Update)
@misc{ cox-skorokhod,
author = "Cox And Hobson",
title = "Skorokhod embeddings, minimality and non-centred target distributions",
url = "citeseer.ist.psu.edu/762480.html" }
Citations (may not include all citations):40 Classical potential theory and its probabilistic counterpart (context) - Doob - 1984
13 the distribution of maxima of martingales (context) - Lester, David et al. - 1978
12 A converse to the dominated convergence theorem (context) - David, Dubins - 1963
11 Une solution simple au probleme de Skorokhod (context) - ema, Yor - 1977
11 One-dimensional potential embedding (context) - Chacon, Walsh - 1975
5 a theorem of Skorohod (context) - Dubins - 1968
5 Representation of measures by balayage from a regular recurr.. (context) - Bertoin, Le Jan - 1992
5 Embedding in Brownian motion with drift and the Azema-Yor c.. (context) - Grandits, Falkner - 2000
2 An optimal embedding for di usions (context) - Cox - 2002
Documents on the same site (http://people.bath.ac.uk/masdgh/Papers/): More
Optimal stopping of the maximum process: a converse to the.. - David Hobson First (Correct)
Perpetual American Options in Incomplete Markets: The.. - Vicky Henderson.. (Correct)
Real Options, Non-traded Assets and Utility Indifference Prices - Hobson (2003) (Correct)
Online articles have much greater impact More about CiteSeer.IST Add search form to your site Submit documents Feedback
CiteSeer.IST - Copyright Penn State and NEC